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1
Content available remote

Distributions with given marginals: the beginnings

100%
Durante F., Puccetti G., Scherer M., Vanduffel S.
Dependence Modeling
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2016
|
tom 4
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nr 1
2
Content available remote

VaR bounds for joint portfolios with dependence constraints

100%
Puccetti G., Rüschendorf L., Manko D.
Dependence Modeling
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2016
|
tom 4
|
nr 1
EN
Based on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR bound for joint risk portfolios with fixed marginal distributions and positive dependence information. The positive dependence information can be assumed to hold in the tails, in some central part, or on a general subset of the domain of the distribution function of a risk portfolio. The newly provided VaR bound can be interpreted as a comonotonic VaR computed at a distorted confidence level and its quality is illustrated in a series of examples of practical interest.
3
Content available remote

Stat Trek. An interview with Christian Genest

100%
Durante F., Puccetti G., Scherer M., Vanduffel S.
Dependence Modeling
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2016
|
tom 4
|
nr 1
4
Content available remote

My introduction to copulas

100%
Durante F., Puccetti G., Scherer M., Vanduffel S.
Dependence Modeling
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2017
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tom 5
|
nr 1
88-98
5
Content available remote

The Vine Philosopher

100%
Durante F., Puccetti G., Scherer M., Vanduffel S.
Dependence Modeling
|
2017
|
tom 5
|
nr 1
256-267
6
Content available remote

A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf

100%
Durante F., Puccetti G., Scherer M.
Dependence Modeling
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2015
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tom 3
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nr 1
7
Content available remote

Building bridges between Mathematics, Insurance and Finance

100%
Durante F., Puccetti G., Scherer M.
Dependence Modeling
|
2015
|
tom 3
|
nr 1
EN
Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in Actuarial Mathematics and Quantitative Risk Management. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial College). Dr. Embrechts has held visiting professorships at several universities, including the Scuola Normale in Pisa (Cattedra Galileiana), the London School of Economics (Centennial Professor of Finance), the University of Vienna, Paris 1 (Panthéon-Sorbonne), theNationalUniversity of Singapore, KyotoUniversity,was Visiting Man Chair 2014 at the Oxford-Man Institute of Oxford University and has an Honorary Doctorate from the University of Waterloo, Heriot-Watt University, Edinburgh, and the Université Catholique de Louvain. He is an Elected Fellow of the Institute of Mathematical Statistics and the American Statistical Association, Honorary Fellow of the Institute and the Faculty of Actuaries, Actuary-SAA, Member Honoris Causa of the Belgian Institute of Actuaries and is on the editorial board of numerous scientific journals.He belongs to various national and international research and academic advisory committees. He co-authored the influential books Modelling of Extremal Events for Insurance and Finance, Springer, 1997 [8] andQuantitative RiskManagement: Concepts, Techniques and Tools, Princeton UP, 2005, 2015 [14] and published over 180 scientific papers. Dr. Embrechts consults on issues in Quantitative Risk Management for financial institutions, insurance companies and international regulatory authorities.
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